I wouldn't stress it sounds normal to me. I am sure that your weight gain won't continue at the same weight, I know mine has definitely gone through phases.
I think I have put on about 24-28lbs at 34 weeks. From seeing healthy friends have babies I know a lot of them put on about 3 stone in their pregnancies and lost it ok and didn't have any problems. So I wouldnt' worry so much.
Exercise-wise, I have done cycling, swimming, walking and yoga. I don't think yoga is likely to be very "calorie-burning" if you know what I mean, but it makes me feel great, so I love it, particularly as I have got further on and aerobic exercise has got more tiring.
I personally think that if you want to minimize weight gain then watching what you eat is more important than exercise (unless you can fit in time and feel well enough to do lots and lots of exercise). e.g. if you do half an hour of exercise 5 times a week you are probably only burning 250 calories a time at a guess, which is not THAT much. But obviously exercise is important for health, stamina, etc, so try to do that too.
Basically I would really not worry about it as you sound normal to me, and you are making an effort to exercise which is more than a lot of pg ladies do!